It enables the user to check residuals of a linear regression model for heteroscedasticity.
Test parameters:
Explanatory Series. Factors that affect the behavior of the explained variable. By default, the list includes all factors of the tested linear regression model. The factor checkbox indicates whether the factor is included into the test. Deselect the checkbox to exclude the factor from the test. The number of explanatory series must be at least 1.
Enable Cross Products. Selecting the checkbox enables the use of both the existing explanatory series and their cross products. If S1 and S2 series are considered, the following regressors should be also considered under condition of using cross products: S1*S1, S1*S2, S2*S2. It is not recommended to enable cross products if the number of explanatory series (regressors) is too large.
Significance Level. The significance level value, at which the hypothesis is rejected.
The results are displayed below as a table with the following data:
Fisher Statistics. It is not calculated for this test.
The following data is given for each statistics: initial approximation, t-statistics value and the test result (whether the hypothesis on zero mean distribution of residuals is accepted or rejected).
Model Coefficients. Regression coefficients calculated for the selected factors (including cross products if they are used). If a model uses autoregression and moving average, model coefficients will contain autoregression and moving average coefficients.
NOTE. If test parameters have been specified incorrectly, the result table is not displayed. Instead of a table an error message is displayed.
See also: